By Toni Weeks
San Luis Obispo, Calif., Feb. 3 – Barclays Bank plc priced $17.79 million of capped Leveraged Index Return Notes due Jan. 27, 2017 linked to a basket of unequally weighted indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket components are the S&P 500 index with a 45% weight, the MSCI EAFE index with a 27.5% weight and the MSCI Emerging Markets index with a 27.5% weight.
The payout at maturity will be par of $10.00 plus double any basket gain, subject to a maximum payment of $11.21 per $10.00 principal amount.
Investors will receive par if the basket falls by up to 10% and will be exposed to any losses beyond 10%.
The final basket level will be the average of the basket levels on the five trading days ending Jan. 24, 2017.
BofA Merrill Lynch is the agent.
| Issuer: | Barclays Bank plc
|
| Issue: | Capped Leveraged Index Return Notes
|
| Underlying indexes: | S&P 500 (45% weight), MSCI EAFE (27.5% weight) and MSCI Emerging Markets (27.5% weight)
|
| Amount: | $17,786,900
|
| Maturity: | Jan. 27, 2017
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus double any gain in the basket, subject to cap of 12.1%; par if basket falls by up to 10%, exposure to losses beyond 10%
|
| Initial basket level: | 100
|
| Threshold level | 90% of initial value
|
| Initial index levels: | 2,021.25 for S&P 500, 1,792.03 for MSCI EAFE and 973.19 for MSCI EM
|
| Pricing date: | Jan. 29
|
| Settlement date: | Feb. 5
|
| Agent: | BofA Merrill Lynch
|
| Fees: | 2%
|
| Cusip: | 06743N876
|
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